Just started up a new game and off the bat it suggested I build an Energy Station at my home planet. I'm a bit confused since I've never seen this pop up in all my times playing. There is no energy benefit I can see. Is this some sort of bug?

Basically the AI has determined your not at your full research potential, has figured you need to increase your number of energy labs and hasn't spotted somewhere with a bonus nearby. So it is recommending you build one around your home base.

If you play pre-warp you'll get those recommendations much more frequently. IIRC, the AI only started doing this with Shadows so it could be partially why you've not seen this before. Pre-Warp AI races really do need those non-bonus energy stations, or else they take forever to research hyperdrives (The players Empire has a huge advantage in pre-warp due to design flexibility). You'll notice when you hit one of their systems on a pre-warp start they have built two or three of those stations around their homebase.

Obviously, ignore the suggestion. If you need more labs just build them on your homebase itself (an option outside the scope of the AI).